Referenced Items are not available for this document.
In this correspondence, we report an interesting behavior of the extended Kalman filter (EKF) when it is used to filter a chaotic system. We show both theoretically and experimentally that the gain of the EKF does not converge or diverge but oscillates aperiodically. More precisely, when a nonlinear system is periodic, the Kalman gain and error covariance of the EKF converge to zero. However, when the system is chaotic, they either converge to a fixed point with magnitude larger than zero or oscillate. Our theoretical analyses are verified using Monte Carlo simulations based on some popular chaotic systems
Published in:
Signal Processing, IEEE Transactions on
(Volume:48
,
Issue:
6
)
Date of Publication: Jun 2000
- Page(s):
- 1807 - 1810
- ISSN :
- 1053-587X
- INSPEC Accession Number:
- 6621039
- Digital Object Identifier :
- 10.1109/78.845941
- Product Type:
- Journals & Magazines
- Date of Current Version :
- 06 August 2002
- Issue Date :
- Jun 2000
- Sponsored by :
- IEEE Signal Processing Society
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